Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0671
Annualized Std Dev 0.1372
Annualized Sharpe (Rf=0%) 0.4892

Row

Daily Return Statistics

Close
Observations 3106.0000
NAs 1.0000
Minimum -0.1622
Quartile 1 -0.0029
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0039
Maximum 0.1417
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0086
Skewness -0.9757
Kurtosis 70.9758

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0065
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0062
Downside Deviation (0%) 0.0062
Maximum Drawdown 0.2496
Historical VaR (95%) -0.0110
Historical ES (95%) -0.0194
Modified VaR (95%) -0.0038
Modified ES (95%) -0.0038
From Trough To Depth Length To Trough Recovery
2008-12-01 2009-03-09 2009-09-09 -0.2496 195 67 128
2020-02-13 2020-03-23 2020-08-12 -0.2295 126 27 99
2011-05-02 2011-10-03 2012-03-19 -0.1378 223 108 115
2018-01-29 2018-12-24 2019-11-01 -0.1369 445 229 216
2008-11-14 2008-11-21 2008-11-28 -0.1345 9 6 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -16.2 1.1 -15.3
2009 -0.7 -0.5 0.9 0 1.3 0.7 0.4 -1.1 -1.6 -1.6 1 -0.5 -1.6
2010 1.1 0.8 0.7 -0.8 -0.8 0 0.3 1.4 0.3 0 1.2 0.1 4.2
2011 0.9 -0.7 0.4 0.3 -1.1 0.8 -0.3 -0.5 -1.2 -1.5 -0.3 -0.1 -3.4
2012 0.6 0.4 0.2 0.5 -1.4 1.8 -0.2 0.2 0.1 0.7 0 1 3.9
2013 0.5 0.1 -0.4 -0.6 -0.7 0.5 0.6 -0.5 0.4 -0.2 0 0.2 0
2014 -0.6 0 0.5 0.2 0 0.5 0.1 0.2 -0.8 0.8 -0.6 -0.5 -0.3
2015 -0.9 0.1 0.4 0.6 -0.1 0.4 0.3 -2 0.2 -0.2 0.7 -0.5 -1.2
2016 0 1.4 -0.2 -0.3 -0.1 0.3 -0.3 0.2 0.4 -0.4 -0.2 0.2 1
2017 0.2 0.7 -0.1 0 0.5 0.1 0.3 0 0.4 0.1 -0.2 0 2
2018 -0.3 -0.5 0.8 0 0.5 0.4 -0.2 0 0.2 0.9 0.1 0.5 2.2
2019 -0.1 0.2 0.7 -0.6 -0.4 0.4 -0.1 0.3 -0.6 0.6 -0.3 0.3 0.5
2020 -0.9 -0.1 -2.2 -1.7 0.8 0.2 -0.2 0.5 0.4 -0.5 0.7 -0.1 -3.1
2021 1 1.4 0.1 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-11  24.0 SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
2 2008-11-12  25.4 SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
3 2008-11-14  23.9 SPY    86.6 -0.0499  -0.0771  -0.0763   -0.325   -0.405   -0.300   -0.186 GLD    73.3  0.0159   0.011 
4 2008-11-17  24.6 SPY    85.5 -0.0133  -0.0773  -0.083    -0.327   -0.414   -0.306   -0.190 GLD    72.6 -0.0089  -0.0126
5 2008-11-18  23.2 SPY    87.1  0.0188  -0.03    -0.119    -0.317   -0.394   -0.295   -0.170 GLD    72.5 -0.0019   0.0064
6 2008-11-19  23.1 SPY    81.5 -0.0641  -0.0503  -0.150    -0.362   -0.436   -0.346   -0.215 GLD    72.3 -0.0034   0.0323
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart